Final modification of the LM unit root test
This article proposes a modified version of the LM unit root test, which is efficient and independent from the levels regression intercept, under both null and alternative hypotheses. Simulated critical values are provided.
Year of publication: |
2008
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Authors: | Vougas, Dimitrios |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 15.2008, 13, p. 1007-1009
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Publisher: |
Taylor & Francis Journals |
Saved in:
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